Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0028
Annualized Std Dev 0.1379
Annualized Sharpe (Rf=0%) 0.0204

Row

Daily Return Statistics

Close
Observations 2889.0000
NAs 1.0000
Minimum -0.1307
Quartile 1 -0.0034
Median 0.0000
Arithmetic Mean 0.0000
Geometric Mean 0.0000
Quartile 3 0.0038
Maximum 0.0872
SE Mean 0.0002
LCL Mean (0.95) -0.0003
UCL Mean (0.95) 0.0004
Variance 0.0001
Stdev 0.0087
Skewness -1.8121
Kurtosis 38.2323

Downside Risk

Close
Semi Deviation 0.0065
Gain Deviation 0.0060
Loss Deviation 0.0076
Downside Deviation (MAR=210%) 0.0116
Downside Deviation (Rf=0%) 0.0065
Downside Deviation (0%) 0.0065
Maximum Drawdown 0.3714
Historical VaR (95%) -0.0123
Historical ES (95%) -0.0203
Modified VaR (95%) -0.0115
Modified ES (95%) -0.0115
From Trough To Depth Length To Trough Recovery
2016-08-04 2020-03-23 NA -0.3714 1165 914 NA
2013-01-10 2013-12-11 2016-07-27 -0.2638 893 233 660
2009-10-14 2011-01-19 2012-01-31 -0.2202 579 319 260
2012-03-13 2012-03-16 2012-05-09 -0.0743 41 4 37
2012-12-03 2012-12-17 2013-01-04 -0.0564 23 11 12

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2009 NA NA NA NA NA NA NA NA 0.5 0 -0.8 -0.5 -0.9
2010 -0.1 -0.5 0.5 0.8 -0.1 0.5 1.7 -1.1 0.1 -0.5 0.6 2.5 4.4
2011 0.6 -0.2 1.2 0 -0.2 0.4 1.2 0.9 0.1 0.1 0.2 -0.7 3.7
2012 -0.2 1.4 -0.1 0.8 -0.1 0.9 0.4 1 0.9 0.9 1.6 -0.1 7.6
2013 0.2 0.2 -2.1 0.6 -0.6 1.2 -1.4 0 0.3 -1.6 0.4 -0.6 -3.3
2014 0.6 -0.1 -0.5 0.1 -0.6 -0.5 0.4 0.3 0.5 0.1 0.1 0.1 0.5
2015 0.4 1.5 -0.6 -0.6 -0.1 0.5 0.3 -0.1 0.3 -0.1 -0.1 -0.1 1.4
2016 0.6 -0.3 0.3 -0.1 0 0.2 -0.9 0.5 0.2 0.7 -1.6 0.1 -0.4
2017 0.1 -0.4 0.1 0.1 0 0.2 0 0.1 -0.1 0 0.1 0.1 0.3
2018 0 -0.7 0 0.5 0.1 -0.1 -0.2 -0.1 0.4 0.5 0.3 -0.3 0.4
2019 0.3 0.4 0.4 0.6 0.2 0.2 0.7 0.1 0.1 -0.1 0.1 -0.1 2.9
2020 0 -2.3 -2.5 0.7 1.4 0.8 0.2 0.3 0 -0.1 -1 1.9 -0.7
2021 -0.1 -2.9 -0.1 NA NA NA NA NA NA NA NA NA -3

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2009-09-25  15.0 SPY    104. -0.0053 -0.0213    0.0124    0.137  -0.135    -0.212  -0.0629 GLD    97   -0.0056  -0.0169
2 2009-09-28  15   SPY    106.  0.0179 -0.00120   0.0282    0.147  -0.120    -0.204  -0.04   GLD    97.0  0.0005  -0.0133
3 2009-09-29  15   SPY    106  -0.003  -0.01      0.0253    0.153  -0.0483   -0.207  -0.0474 GLD    97.4  0.0039  -0.0225
4 2009-09-30  15   SPY    106. -0.0039 -0.0056    0.0305    0.144  -0.0897   -0.210  -0.0559 GLD    98.8  0.0146   0.0002
5 2009-10-01  15.1 SPY    103  -0.0245 -0.0191    0.0279    0.147  -0.112    -0.229  -0.0784 GLD    97.9 -0.0097   0.0035
6 2009-10-02  15   SPY    102. -0.005  -0.0188    0.0267    0.141  -0.0837   -0.230  -0.0982 GLD    98.4  0.0049   0.0141
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart